Mean-field risk sensitive control and zero-sum games for Markov chains

Salah Eddine Choutri; Boualem Djehiche

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arXiv · 1801.08413

Mean-field risk sensitive control and zero-sum games for Markov chains

Salah Eddine Choutri·Boualem Djehiche

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Abstract

We establish existence of controlled Markov chain of mean-field type with unbounded jump intensities by means of a fixed point argument using the Wasserstein distance. Using a Markov chain entropic backward SDE approach, we further suggest conditions for existence of an optimal control and a saddle-point for respectively a control problem and a zero-sum differential game associated with risk sensitive payoff functionals of mean-field type.

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Salah Eddine Choutri, Boualem Djehiche. 2018-01-23. Mean-field risk sensitive control and zero-sum games for Markov chains. https://arxiv.org/abs/1801.08413

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